statsmodels.tsa.statespace.varmax.VARMAX.score_obs

VARMAX.score_obs(params, method='approx', transformed=True, includes_fixed=False, approx_complex_step=None, approx_centered=False, **kwargs)

Compute the score per observation, evaluated at params

Parameters:

• params (array_like) – Array of parameters at which to evaluate the score.

• **kwargs – Additional arguments to the loglike method.

Returns:

score – Score per observation, evaluated at params.

Return type:

ndarray

Notes

This is a numerical approximation, calculated using first-order complex step differentiation on the loglikeobs method.